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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215
Persistent link: https://www.econbiz.de/10003839259
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Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
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Diagnosing and treating the fat tails in financial returns data
Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - In: Journal of empirical finance 7 (2000) 3/4, pp. 389-416
Persistent link: https://www.econbiz.de/10001558281
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Risk management and dynamic portfolio selection with stable Paretian distributions
Ortobelli, Sergio; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-212
Persistent link: https://www.econbiz.de/10008387161
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Diagnosing and treating the fat tails in financial returns data
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of empirical finance 7 (2000) 3, pp. 389
Persistent link: https://www.econbiz.de/10007241085
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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-216
Persistent link: https://www.econbiz.de/10008896132
Cover Image
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215
Persistent link: https://www.econbiz.de/10008172663